- Positioned for another leg down here. Similar situation in early Nov didn't pay off...hopefully we'll see some sustained higher vol.
- RT @VIXandMore: A Very Middling Pullback, So Far http://t.co/gVHg63LurY (includes frequently requested $SPX pullback table)
- Are Simple Momentum Strategies Too Dumb? Introducing Probabilistic Momentum http://t.co/6WvbygzJ2D via @cssanalytics
- Big drop, big vol spike, low IBS & good DOTM seasonality US/EU tomorrow. Very bullish over the next 24h.
- More on K selection RT @DataScienceLab: Follow-up post comparing the algorithm with another that performs faster: http://t.co/yNkSNAZIJ9
alpha curves C# CAC40 DAX FTSE100 candlestick patterns CFD China CRTDR data mining DOTM equal risk contribution ETN GTAA HangSeng holiday effects IBS effect K Nearest Neighbor machine learning mean reversion minimum correlation minimum volatility momentum MultiCharts .NET NASDAQ100 new highs new lows Nikkei225 PCA portfolio optimization QQQ relative strength risk parity Russell2000 S&P500 seasonality SPY statistical arbitrage STI swing trend following UDIDSRI VIX VIXY VXV WVF XIV